CEV下考虑突发事件影响的有交易费用的交换期权定价

Exchange Option Pricing Based on Poisson Motion under Constant Elasticity of Variance with Transaction Costs

在股票价格满足CEV且受布朗运动和泊松过程共同驱动的模型下,对支付交易费用的交换期权定价进行研究,给出了期权价格满足的偏微分方程,并发现定价模型中股票价格的幂指数与波动率弹性α的选取有关,同时交易费用受泊松强度参数λ的影响,且随着λ的变大而变小.

This paper studied the Exchange Option pricing with transaction costs, while the stock prices under stant Elasticity of Variance process are driven by Brownian motion and Poisson process. We give a partial differential equation with which option price is satisfied. It is found that power index of stock prices is relevant to the selection of volatility elasticity a in the pricing model. In addition,the Poisson intensity parameter a affects the transaction costs, which decrease with a larger parameter.